HomeMy WebLinkAbout07 QUARTERLY INVESTMENT REPORT ENDING JUNE 30, 20237DocuSign Envelope ID: 37D7A353-FD4C-4A37-80E5-4533193E2EFB
DocuSign Envelope ID: 37D7A353-FD4C-4A37-80E5-4533193E2EFB
DocuSign Envelope ID: 37D7A353-FD4C-4A37-80E5-4533193E2EFB
CHANDLER ASSET MANAGEMENT, INC. | 800.317.4747 | www.chandlerasset.com
INVESTMENT REPORT
Period Ending June 30, 2023
City of Tustin
DocuSign Envelope ID: 37D7A353-FD4C-4A37-80E5-4533193E2EFB
SECTION 1 Economic Update
SECTION 2 Account Profile
SECTION 3 Portfolio Holdings
SECTION 4 Transactions
Table of Contents As of June 30, 2023
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SECTION |Section 1 |Economic Update
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Economic Update
Recent economic data continues to suggest positive but below trend growth this year.Although the pace of job growth is
moderating,labor markets remain solid,and the U.S.consumer has demonstrated resiliency.Inflationary trends are
subsiding, but core levels remain well above the Fed’s target.Given the cumulative effects of restrictive monetary policy
and tighter financial conditions,we believe the economy will gradually soften and the Fed will remain data dependent as
they tread cautiously going forward.
At the June meeting,the Federal Open Market Committee paused in their rate hiking campaign after ten straight rate
increases and left the target Federal Funds rate in the current range of 5.00 -5.25%.Market participants viewed the FOMC’s
decision as a ‘hawkish’ pause, expecting further tightening in the future,primarily based on the updated release of the
FOMC’s Summary of Economic Projections (SEP)forecast which reflected a stronger economic outlook and higher rates
compared to the March forecast. We believe the resiliency of future economic data will determine if the Federal Reserve
can stay on hold for a period of time or will be forced to tighten policy further to bring inflation back down towards their 2%
policy objective.
The yield curve remained inverted in June.The 2-year Treasury yield surged 50 basis points to 4.90%,the 5-year Treasury
yield rose 40 basis points to 4.16%, and the 10-year Treasury yield increased 19 basis points to 3.84%. The inversion between
the 2-year Treasury yield and 10-year Treasury yield widened to -106 basis points at June month-end versus -76 basis points
at May month-end.The spread between the 2-year Treasury and 10-year Treasury yield one year ago was +6 basis points.
The inversion between 3-month and 10-year Treasuries narrowed to -146 basis points in June from -176 basis points in May.
The shape of the yield curve indicates that the probability of recession is increasing.
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Source: US Department of Labor Source: US Department of Labor
Employment
The U.S.economy added 209,000 jobs in June,falling short of consensus expectations,and the last two months were revised downward by
110,000 jobs.Although decelerating,the pace of job growth remains healthy with the three-month moving average payrolls at 244,000 and the
six-month moving average at 278,000.The unemployment rate declined to 3.6%in June from 3.7%in May,while the labor force participation
rate remained at 62.6%.The U-6 underemployment rate,which includes those who are marginally attached to the labor force and employed
part time for economic reasons,increased to 6.9%from the prior month at 6.7%.Average hourly earnings remained at 4.4%year-over-year in
June, unchanged from an upwardly revised 4.4%increase in May.While the longer-term trend of hiring is slowing,levels remain consistent
with a solid labor market.
0
100
200
300
400
500
600
700
800
900
1,000
MOM Change In (000's)Nonfarm Payroll (000's)
Non-farm Payroll (000's)
3 month average (000's)
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
Unemployment Rate
Underemployment Rate (U6)
Unemployment Rate (U3)Rate (%)4
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Source: US Department of Labor Source: US Department of Commerce
Inflation
The Consumer Price Index (CPI)increased in May by 0.1%month-over-month and 4.0%year-over-year,down from 4.9%in April.The Core CPI,
which excludes volatile food and energy components,remained firm at 0.4%month-over-month and 5.3%year-over-year,decelerating
modestly from 5.5%in April.The Personal Consumption Expenditures (PCE)index rose 3.8%year-over-year in May,down from a 4.3%gain in
April.Core PCE,the Federal Reserve’s preferred inflation gauge,increased 4.6%year-over-year in May,down slightly from a 4.7%increase in
April.Core inflation remains stubbornly elevated above the Fed's 2%target, with service-sector inflation and strong wage growth as
headwinds.
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
10.0%
Personal Consumption Expenditures (PCE)
PCE Price Deflator YOY % Change
PCE Core Deflator YOY % ChangeYOY( %) Change0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
10.0%
Consumer Price Index (CPI)
CPI YOY % Change
Core CPI YOY % ChangeYOY( %) Change5
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Advance Retail Sales rose 0.3%month-over-month in May,beating expectations but slowing from a 0.4%increase in April.Gains were broad-
based and translated to a year-over-year increase of 1.5%in May versus a downwardly revised 1.2%increase in April.The Conference Board’s
ConsumerConfidence Index surged to a better than expected 109.7 in June from 102.5 in May.Both current conditions and future expectations
gained strength.
Source: US Department of Commerce Source: The Conference Board
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
Retail Sales YOY % Change
YOY (%) Change80
90
100
110
120
130
140
Index LevelConsumer Confidence
Consumer
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Source: The Conference Board Source: Federal Reserve Bank of Chicago
Economic Activity
The Conference Board’s Leading Economic Index (LEI)remained in negative territory for the fourteenth consecutive month at -0.7%in May,
versus –0.6%in April and was down 7.9%year-over-year in May.The consistent decline month-over-month continues to signal future
contraction in the economy.The Chicago Fed National Activity Index (CFNAI)fell to -0.15 in May from 0.14 in April.On a 3-month moving
average basis, the CFNAI remained negative at -0.14 in May, indicating a rate of growth below the historical average trend.
-0.50
-0.25
0.00
0.25
0.50
0.75
1.00
Chicago Fed National Activity Index (CFNAI)3 Month Average-1.5%
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
Leading Economic Indicators (LEI)MOM ( %) Change7
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Source: US Department of Commerce Source: S&P
Housing
0
200
400
600
800
1000
1200
1400
1600
1800
2000
MOM Change (In Thousands of Units)Housing Starts
Multi Family Housing Starts
Single Family Housing Starts
-2.0%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
16.0%
18.0%
20.0%
22.0%
24.0%
S&P/Case -Shiller 20 City Composite Home Price Index YOY( %) ChangeTotal housing starts rose 21.7%month-over-month in May to 1,631,000 units from a downwardly revised 1,340,000 in April and were up 5.7%
compared to May 2022.Both single-family and multi-family construction increased as expectations for lower rates and greater availability of
construction labor and materials drove the surge in starts.The 30-year fixed rate mortgage stabilized at an average of approximately 6.7%at
June month-end according to Freddie Mac.According to the Case-Shiller 20-City Home Price Index, housing prices dropped 1.7%in April after
falling 1.1%in March,clearly displaying the impact of higher mortgage rates year-over-year,which have reduced demand for homebuying as
affordability has declined. The Southeast remains the strongest region, while the West continues to be the weakest.
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Source: Institute for Supply Management Source: Federal Reserve
Manufacturing
The Institute for Suppl y Management (ISM)manufacturing index fell to 46.0 in June from 46.9 in May.This is the eighth consecutive month of
readings below 50.0,which isindicative of contraction in the manufacturing sector.Industrial production rose 0.5%in April due to increases in
manufacturing and mining.This equates to a 0.24%increase in industrial production from the prior year.Capacity utilization increased to 79.7%
in April from a downwardly revised 79.4% in March, inching above its 1972-2021 average of 79.6%.
40
42
44
46
48
50
52
54
56
58
60
62
64
66
Institute of Supply Management Purchasing Manager Index
EXPANDING
CONTRACTING -10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
20.0%
Industrial Production
YOY( %) Change9
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Source: US Department of Commerce Source: US Department of Commerce
6/22 9/22 12/22 3/23
1.4% 1.5% 0.7% 2.8%
-2.8% -1.8% 0.8% -2.2%
1.2% 2.9% 0.4% 0.6%
-0.2% 0.2% 0.4% 0.4%
-0.1% 0.4% 0.3% 0.5%
-0.6% 3.3% 2.6% 2.0%
Federal Government Expenditures
State and Local (Consumption and Gross
Investment)
Gross Private Domestic Investment
Personal Consumption Expenditures
Components of GDP
Net Exports and Imports
Total
-35.0%-30.0%-25.0%-20.0%-15.0%-10.0%-5.0%0.0%5.0%10.0%15.0%20.0%25.0%30.0%35.0%40.0%
Gross Domestic Product (GDP)
GDP QOQ % Change
GDP YOY % Change
Gross Domestic Product (GDP)
According to the third estimate,first quarter 2023 GDP growth was revised up to 2.0%from 1.3%.Stronger personal consumption expenditures
were the primary driver of the upward revision.The consensus estimate calls for 1.2%growth for the second quarter and 1.3%growth for the
full year 2023.
10
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Federal Reserve
Source: Federal Reserve Source: Bloomberg
At the June meeting,the Federal Open Market Committee paused in their rate hiking campaign after ten straight rate increases and left the
target Federal Funds rate in the current range of 5.00 -5.25%.Market participants viewed the FOMC’s decision as a ‘hawkish’ pause, expecting
further tightening in the future,primarily based on the updated release of the FOMC’s Summary of Economic Projections (SEP)forecast.The
SEP is forecasting higher GDP,a lower unemployment rate,and higher PCE inflation compared to the March 2023 forecast.The median forecast
for the Fed Funds rate was also increased to 5.6%in June,compared to the prior forecast of 5.1%in March,suggesting another 50 basis points
of tightening in 2023.We believe the resiliency of future economic data will determine if the Federal Reserve can stay on hold for a period of
time or will be forced to tighten policy further to bring inflation back down towards their 2% policy objective.
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
4.50%
5.00%
5.50%
Effective Federal Funds Rate
Yield (%)2,000,000
3,000,000
4,000,000
5,000,000
6,000,000
7,000,000
8,000,000
9,000,000
10,000,000
Federal Reserve Balance Sheet Assets
In$ millions11
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Source: Bloomberg Source: Bloomberg
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
4.5%
5.0%
US Treasury Note Yields
2-Year
5-Year
10-Year
Yield (%)0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
US Treasury Yield Curve
Jun-23
Mar-23
Jun-22Yield (%)Bond Yields
At the end of June,the 2-year Treasury yield was 194 basis points higher,and the 10-Year Treasury yield was about 82 basis points higher,year-
over-year. The inversion between the 2-year Treasury yield and 10-year Treasury yield widened to -106 basis points at June month-end versus -
76 basis points at May month-end.The average historical spread (since 2003)is about +130 basis points.The inversion between 3-month and
10-year Treasuries narrowed to -146 basis points in June from -176 basis points in May.The shape of the yield curve indicates that the
probability of recession is increasing.
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Section 2|SECTION |Section 2 |Account Profile
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Objectives
Chandler Asset Management Performance Objective
The performance objective for the accounts is to achieve a rate of return over a market cycle that equals
or exceeds the return on a market index of similar duration and sector allocation.
Investment Objectives
The investment objectives of the City of Tustin are first, to provide safety of principal to ensure the
preservation of capital in the overall portfolio; second, to provide adequate liquidity to meet all
requirements which might be reasonably anticipated; and third, to earn a commensurate rate of return.
Strategy
In order to achieve these objectives, the portfolio invests in high quality fixed income securities consistent
with the investment policy and California Government Code.
As of June 30, 2023
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Compliance As of June 30, 2023
Category Standard Comment
U.S. Treasuries No limit; 5 years max maturity Complies
Federal Agencies 50% max per issuer; 5 years max maturity Complies
Supranational Obligations
"AA" rated or better by a NRSRO; 5% max; 5% max per issuer; 5 years max maturity; USD denominated senior unsecured
unsubordinated obligations issued or unconditionally guaranteed by one of the three supranational banking groups: IBRD,
IFC, and IADB; Supranational securities will not be purchased until further notice from staff at the City of Tustin.
Complies
Municipal Securities (CA, Other States)30% max; 5% max per issuer; 5 years max maturity Complies
Corporate Medium Term Notes
"A" rating or better by a NRSRO; 30% max; 5% max per issuer; 10% max of any single issuer (combined issuer limitation of
a local agency's investments in commercial paper and medium-term notes); 5 years max maturity; Obligations of a
domestic corporation or depository institution; If the credit rating of a security is downgraded below the minimum rating
level for a new investment of that security, the Treasurer shall evaluate the downgrade on a case-by-case basis to determine
if the security should be held or sold.
Complies
Agency Mortgage Pass-Through
Securities
"AA" rated or better by a NRSRO; 20% max; 10% max per issuer; 5 years max maturity; Only invest in mortgage pass-
through securities that are guaranteed by U.S. government or a government-sponsored enterprise Complies
Negotiable Certificates of Deposit
(NCD)
Any amount above FDIC insured limit must be issued by institutions with "A-1" short-term debt rating or higher by a NRSRO;
or "A" long-term rating category or higher by a NRSRO; 30% max; 5% max per issuer; 5 years max maturity Complies
Certificate of Deposit Placement
Service (CDARS)30% max; FDIC insured; The City may utilize these at the discretion of the Treasurer Complies
Collateralized Bank Deposits/ Time or
Certificates of Deposit
30% max per issuer; 5 years max maturity; All active (checking/savings accounts) and inactive (time or certificates of
deposit) above FDIC insured limits must be collateralized pursuant to California Government Code (CGC)Complies
Bankers' Acceptances "A" rating or better by Moody's or equivalent rating by a NRSRO; 30% max; 5% max per issuer; 180 days maturity Complies
Commercial Paper
A-1/P-1 rating or equivalent by a NRSRO, plus A long term rating by a NRSRO; 30% max, 5% max per issuer; 10% max of any
single issuer (combined issuer limitation of a local agency's investments in commercial paper and medium-term notes);
10% max outstanding from a single issuer; 270 days max maturity; '"Prime" quality commercial paper with the highest
rating by a NRSRO; The entity that issues the commercial paper shall meet all conditions in either (A) or (B): (A) 1. Organized
and operating in the U.S. as a general corporation; 2. Has total net assets >$500 million; 3. Has debt other than commercial
paper, if any, that is "A" rating category or higher by a NRSRO; or (B) 1. Organized within the U.S. as a special purpose
corporation, trust, or LLC; 2. Has program wide credit enhancements including, but not limited to, overcollateralization,
letters of credit or surety bond; and 3. "A-1" rated or higher by a NRSRO
Complies
City of Tustin Consolidated
This portfolio is a consolidation of assets managed by Chandler Asset Management and assets managed internally by Client. Chandler relies on Client to provide accurate information
for reporting assets and producing this compliance statement.
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Compliance As of June 30, 2023
Category Standard Comment
Money Market Mutual Funds
AAA or highest ranking of two of the three highest ranking NRSRO; Retain an investment adviser registered with SEC with > 5
years experience investing assets of at least $500 million; Must invest solely in investments, which the City itself could
legally purchase; 20% max; 10% max per Money Market Mutual Fund
Complies
Local Agency Investment Fund (LAIF)Max amount limited to the amount as specified by LAIF; Principal amount withdrawal of $10 million or > needs 24-hour
notice, and less than $10 million may be withdrawn the same day; Not used by investment adviser Complies
Local Government Investment Pool
(LGIP)/
Orange County Investment Pool (OCIP)
Max amount permitted by County Treasurer; Investment in OCIP is allowable according to guidelines in Government Code;
Not used by investment adviser Complies
Joint Powers Authority (JPA) Investment
Pools
50% max per issuer; 5 years max maturity; Shares of beneficial interest issued by a joint powers' authority organized
pursuant to Section 6509.7 that invests in securities and obligations authorized in subdivisions (a) to (q), inclusive; The JPA
must retain an investment advisor that is SEC registered or exempt from registration with Assets > $500 million, and >5
years experience investing in instruments authorized by CGC
Complies
Repurchase Agreements 30% max; 5% max per issuer; 1 year max maturity; 102% Collateralized; Not used by investment adviser Complies
Prohibited
Inverse floaters, range notes, mortgage derived interest-only strips; zero interest accrual if held to maturity; Reverse
Repurchase Agreements; Securities on margin, credit, or for other than full cash payment, and shall not be pledged as
collateral; Purchase of security with a forward settlement date >45 days from the time of investment; Supranational
securities will not be purchased until further notice from staff at the City of Tustin.
Complies
Weighted Average Maturity 36 months max Complies
Maximum Maturity 5 years from the date of settlement, unless authorized by City Council Complies
City of Tustin Consolidated
This portfolio is a consolidation of assets managed by Chandler Asset Management and assets managed internally by Client. Chandler relies on Client to provide accurate information
for reporting assets and producing this compliance statement.
The City of Tustin maintains adequate liquidity to cover at least six months of expected disbursements.
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Portfolio Characteristics
City of Tustin Consolidated Account
06/30/23 03/31/23
Benchmark*Portfolio Portfolio
Average Maturity (yrs)2.64 0.61 0.70
Average Modified Duration 2.49 0.55 0.65
Average Purchase Yield n/a 3.99%3.49%
Average Market Yield 4.74%4.83%4.24%
Average Quality**AAA AAA/Aa2 AAA/Aa2
Total Market Value 225,870,050 200,771,679
*ICE BofA 1-5 Yr US Treasury & Agency Index
**Benchmark is a blended rating of S&P, Moody’s, and Fitch. Portfolio is S&P and Moody’s respectively.
As of June 30, 2023
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City of Tustin Consolidated Account
Sector Distribution
June 30, 2023
Agency
8.8%Cash
4.0%
CMO
0.8%
Commercial
Paper
1.3%
Corporate
14.0%
LAIF
8.2%Local Gov
Investment Pool
47.8%
Money Market
Fund
0.1%
Negotiable CD
0.6%
US Treasury
14.4%
March 31, 2023
Agency
9.9%
Cash
4.1%
CMO
0.5%
Commercial
Paper
1.0%
Corporate
15.0%
LAIF
17.7%
Local Gov
Investment Pool
35.8%
Money Market
Fund
1.9%
Negotiable CD
0.9%
US Treasury
13.2%
$19,934,713.88 $8,925,503.29 $1,695,227.38 $2,949,937.77 $19,846,996.66 $8,244,230.32 $982,950.50 $1,937,706.66
$31,620,405.58 $18,491,959.31 $108,021,594.70 $267,960.90
$1,394,412.67 $32,568,334.35
$30,200,947.75 $35,579,362.27 $71,784,897.98 $3,776,472.39
$1,885,422.95 $26,532,691.70
As of June 30, 2023
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Portfolio Allocation
City of Tustin Consolidated Account
As of June 30, 2023
1.9%
0.9%
0.5%
1.0%
4.1%
17.7%
9.9%
15.0%
13.2%
35.8%
0.1%
0.6%
0.8%
1.3%
4.0%
8.2%
8.8%
14.0%
14.4%
47.8%
Money Market
Fund
Negotiable CD
CMO
Commercial Paper
Cash
LAIF
Agency
Corporate
US Treasury
Local Gov
Investment Pool
06/30/23
03/31/23
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Issue Name Investment Type % Portfolio
CAMP Local Gov Investment Pool 47.82%
Government of United States US Treasury 14.42%
Local Agency Investment Fund LAIF 8.19%
Federal Home Loan Bank Agency 7.58%
Bank Cash Account Cash 3.95%
MUFG Bank Ltd/NY Commercial Paper 0.87%
JP Morgan Chase & Co Corporate 0.83%
Federal National Mortgage Association Agency 0.81%
Federal Home Loan Mortgage Corp CMO 0.75%
US Bancorp Corporate 0.58%
Toyota Motor Corp Corporate 0.44%
Federal Farm Credit Bank Agency 0.44%
Morgan Stanley Corporate 0.44%
Nextera Energy Capital Corporate 0.44%
Toyota Motor Corp Commercial Paper 0.44%
Mass Mutual Insurance Corporate 0.43%
Qualcomm Inc Corporate 0.43%
Duke Energy Field Services Corporate 0.43%
Northern Trust Corp Corporate 0.43%
Chubb Corporation Corporate 0.43%
Home Depot Corporate 0.43%
Paccar Financial Corporate 0.43%
Target Corp Corporate 0.42%
Salesforce.com Inc Corporate 0.42%
National Rural Utilities Corporate 0.42%
Deere & Company Corporate 0.42%
New York Life Global Funding Corporate 0.42%
Bank of America Corp Corporate 0.42%
State Street Bank Corporate 0.42%
Bank of New York Corporate 0.42%
Metlife Inc Corporate 0.42%
Bank of Montreal Chicago Corporate 0.41%
Pfizer Inc.Corporate 0.41%
Toronto Dominion Holdings Corporate 0.40%
Caterpillar Inc Corporate 0.40%
United Health Group Inc Corporate 0.40%
Amazon.com Inc Corporate 0.40%
Royal Bank of Canada Corporate 0.39%
Issuers
City of Tustin Consolidated Account – Account #10795
As of June 30, 2023
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Issue Name Investment Type % Portfolio
Charles Schwab Corp/The Corporate 0.39%
Wal-Mart Stores Corporate 0.36%
Northwestern Mutual Glbl Corporate 0.31%
Public Service El & Gas Corporate 0.25%
MasterCard Inc Corporate 0.21%
Colgate-Palmolive Co.Corporate 0.15%
First American Govt Oblig Fund Money Market Fund 0.12%
Delaware State Police FCU Negotiable CD 0.11%
Capital One Negotiable CD 0.10%
Ally Bank Negotiable CD 0.10%
Synchrony Financial Negotiable CD 0.10%
Discover Financial Services Negotiable CD 0.10%
Goldman Sachs Inc.Negotiable CD 0.10%
TOTAL 100.00%
Issuers
City of Tustin Consolidated Account – Account #10795
As of June 30, 2023
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City of Tustin Consolidated Account
Maturity Distribution As of June 30, 2023
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AAA AA A <A NR
06/30/23 54.9%20.1%11.5%0.0%13.5%
03/31/23 44.9%19.6%12.2%0.0%23.3%
Source: S&P Ratings
June 30, 2023 vs. March 31, 2023
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
AAA AA A <A NR
06/30/23 03/31/23
Quality Distribution
City of Tustin Consolidated Account
As of June 30, 2023
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0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
35.0%
40.0%
45.0%
50.0%
55.0%
60.0%
65.0%
70.0%
0 - 0.25 0.25 - 0.50 0.50 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5+
June 30, 2023 March 31, 2023
June 30, 2023 vs. March 31, 2023
0 - 0.25 0.25 - 0.50 0.50 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5+
06/30/23 63.4%6.0%8.5%14.4%4.4%2.0%1.3%0.0%
03/31/23 60.3%3.7%10.4%13.9%8.5%1.5%1.6%0.0%
City of Tustin Consolidated Account
Duration Distribution As of June 30, 2023
24
DocuSign Envelope ID: 37D7A353-FD4C-4A37-80E5-4533193E2EFB
Total Rate of Return Annualized Since Inception November 30, 2020
Total rate of return: A measure of a portfolio’s performance over time. It is the internal rate of return, which equates the beginning value of the portfolio with the ending value; it
includes interest earnings, realized and unrealized gains and losses in the portfolio.
Realized Rate of Return: A measure of a portfolio’s return over time. It is the internal rate which equates the beginning book value of the portfolio with the ending book value; it
includes interest earnings, realized gains and losses in the portfolio.
Investment Performance
City of Tustin Consolidated Account
-3.00%
-2.00%
-1.00%
0.00%
1.00%
2.00%
3.00%
12 months 2 years 3 years 5 years 10 years Since Inception
City of Tustin Consolidated Account ICE BofA 1-5 Yr US Treasury & Agency Index ICE BofA 1-3 Yr US Treasury & Agency Index
Annualized
TOTAL RATE OF RETURN 3 months 12 months 2 years 3 years 5 years 10 years Since
Inception
City of Tustin Consolidated Account 0.57%2.04%0.61%N/A N/A N/A 0.56%
ICE BofA 1-5 Yr US Treasury & Agency Index -0.85%-0.42%-2.53%N/A N/A N/A -2.09%
ICE BofA 1-3 Yr US Treasury & Agency Index -0.56%0.14%-1.59% N/A N/A N/A -1.25%
REALIZED RATE OF RETURN 3 months 12 months 2 years 3 years 5 years 10 years Since
Inception
City of Tustin Consolidated Account 0.73%2.48%1.60%N/A N/A N/A 1.46%
As of June 30, 2023
25
DocuSign Envelope ID: 37D7A353-FD4C-4A37-80E5-4533193E2EFB
SECTION |Section 3 |Portfolio Holdings
26
DocuSign Envelope ID: 37D7A353-FD4C-4A37-80E5-4533193E2EFB
Holdings Report
City of Tustin Consolidated Account - Account #10795
CUSIP Security Description Par Value/Units Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
Agency
313384NH8 FHLB Discount Note
4.730% Due 10/23/2023
3,000,000.00 03/29/2023
4.92%
2,918,801.67
2,955,065.00
98.50
4.92%
2,955,065.00
0.00
1.31%
0.00
P-1 / A-1+
F-1+
0.32
0.31
3130ATBL0 FHLB Note
3.625% Due 12/08/2023
2,250,000.00 09/08/2022
3.70%
2,248,110.00
2,249,335.38
99.26
5.34%
2,233,345.50
5,210.94
0.99%
(15,989.88)
Aaa / AA+
NR
0.44
0.43
313384RB7 FHLB Discount Note
4.640% Due 12/28/2023
3,000,000.00 03/28/2023
4.84%
2,894,053.33
2,930,400.00
97.68
4.84%
2,930,400.00
0.00
1.30%
0.00
P-1 / A-1+
F-1+
0.50
0.48
313384RR2 FHLB Discount Note
4.600% Due 01/11/2024
3,000,000.00 03/30/2023
4.80%
2,890,366.67
2,925,633.34
97.52
4.80%
2,925,633.34
0.00
1.30%
0.00
P-1 / A-1+
F-1+
0.53
0.52
313384SV2 FHLB Discount Note
4.600% Due 02/08/2024
2,000,000.00 03/28/2023
4.81%
1,919,244.44
1,943,266.66
97.16
4.81%
1,943,266.66
0.00
0.86%
0.00
P-1 / A-1+
F-1+
0.61
0.60
3130ARHG9 FHLB Note
2.125% Due 02/28/2024
1,250,000.00 03/24/2022
2.19%
1,248,575.00
1,249,510.85
97.83
5.50%
1,222,911.25
9,075.52
0.55%
(26,599.60)
Aaa / AA+
NR
0.67
0.64
3133ENL40 FFCB Note
3.500% Due 09/13/2024
1,000,000.00 09/08/2022
3.63%
997,520.00
998,507.25
97.79
5.42%
977,853.00
10,500.00
0.44%
(20,654.25)
Aaa / AA+
AAA
1.21
1.15
3133XVDG3 FHLB Note
4.375% Due 09/13/2024
1,000,000.00 09/26/2022
4.48%
998,060.00
998,809.48
98.77
5.44%
987,679.00
13,125.00
0.44%
(11,130.48)
Aaa / AA+
NR
1.21
1.14
3130APQ81 FHLB Callable Note Mnthly 12/8/2021
1.000% Due 11/08/2024
1,000,000.00 08/01/2022
3.11%
954,220.00
972,609.31
94.23
5.47%
942,283.00
1,472.22
0.42%
(30,326.31)
Aaa / AA+
NR
1.36
1.31
3130AQF40 FHLB Note
1.000% Due 12/20/2024
1,000,000.00 08/01/2022
2.95%
955,420.00
972,463.79
94.00
5.29%
940,033.00
305.56
0.42%
(32,430.79)
Aaa / AA+
AAA
1.48
1.43
3135G04Z3 FNMA Note
0.500% Due 06/17/2025
2,000,000.00 04/12/2021
0.71%
1,982,980.00
1,992,003.05
91.81
4.93%
1,836,166.00
388.89
0.81%
(155,837.05)
Aaa / AA+
AAA
1.97
1.91
TOTAL Agency 20,500,000.00 3.89%
20,007,351.11
20,187,604.11 5.06%
19,894,635.75
40,078.13
8.83%
(292,968.36)
Aaa / AAA
AAA
0.78
0.76
Cash
CBGMMF$03 Citizens Business Bank Citizens Business Bank Cash
5,455,148.70 Various
0.00%
5,455,148.70
5,455,148.70
1.00
0.00%
5,455,148.70
0.00
2.42%
0.00
NR / NR
NR
0.00
0.00
CBGMMF$04 Citizens Business Bank Citizens Business Bank Cash
3,330,594.81 Various
0.00%
3,330,594.81
3,330,594.81
1.00
0.00%
3,330,594.81
0.00
1.47%
0.00
NR / NR
NR
0.00
0.00
As of June 30, 2023
27
DocuSign Envelope ID: 37D7A353-FD4C-4A37-80E5-4533193E2EFB
Holdings Report
City of Tustin Consolidated Account - Account #10795
CUSIP Security Description Par Value/Units Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
90BOFA$00 Cash BOA Cash Acct
139,759.78 Various
0.25%
139,759.78
139,759.78
1.00
0.25%
139,759.78
0.00
0.06%
0.00
NR / NR
NR
0.00
0.00
TOTAL Cash 8,925,503.29 0.00%
8,925,503.29
8,925,503.29 0.00%
8,925,503.29
0.00
3.95%
0.00
NR / NR
NR
0.00
0.00
CMO
3137BDCW4 FHLMC K039 A2
3.303% Due 07/25/2024
1,000,000.00 04/19/2022
2.75%
1,007,968.75
1,003,636.61
97.80
5.67%
977,954.00
2,752.50
0.43%
(25,682.61)
NR / NR
AAA
1.07
0.85
3137F1G44 FHLMC K065 A2
3.243% Due 04/25/2027
750,000.00 06/08/2023
4.42%
719,560.55
719,948.59
95.00
4.70%
712,494.00
2,026.88
0.32%
(7,454.59)
NR / NR
AAA
3.82
3.42
TOTAL CMO 1,750,000.00 3.45%
1,727,529.30
1,723,585.20 5.26%
1,690,448.00
4,779.38
0.75%
(33,137.20)
NR / NR
AAA
2.23
1.93
Commercial Paper
89233HX58 Toyota Motor Credit Discount CP
5.120% Due 10/05/2023
1,000,000.00 04/04/2023
5.33%
973,973.33
986,346.66
98.63
5.33%
986,346.66
0.00
0.44%
0.00
P-1 / A-1+
F-1
0.27
0.26
62479MY64 MUFG Bank Ltd/NY Discount CP
5.120% Due 11/06/2023
2,000,000.00 03/28/2023
5.34%
1,936,853.33
1,963,591.11
98.18
5.34%
1,963,591.11
0.00
0.87%
0.00
P-1 / A-1
NR
0.35
0.34
TOTAL Commercial Paper 3,000,000.00 5.33%
2,910,826.66
2,949,937.77 5.33%
2,949,937.77
0.00
1.31%
0.00
P-1 / A-1
F-1
0.32
0.32
Corporate
89236TFN0 Toyota Motor Credit Corp Note
3.450% Due 09/20/2023
1,000,000.00 02/28/2019
3.00%
1,019,000.00
1,000,924.32
99.49
5.73%
994,870.00
9,679.17
0.44%
(6,054.32)
A1 / A+
A+
0.22
0.22
79466LAG9 Salesforce.com Inc Callable Note Cont 7/15/2022
0.625% Due 07/15/2024
1,000,000.00 04/25/2022
2.88%
951,860.00
977,415.80
95.19
5.44%
951,898.00
2,881.94
0.42%
(25,517.80)
A2 / A+
NR
1.04
1.01
59217GEP0 Metlife Note
0.700% Due 09/27/2024
1,000,000.00 01/18/2022
1.49%
979,170.00
990,360.02
93.59
6.14%
935,942.00
1,827.78
0.42%
(54,418.02)
Aa3 / AA-
AA-
1.25
1.20
24422EVY2 John Deere Capital Corp Note
1.250% Due 01/10/2025
1,000,000.00 02/04/2022
1.78%
985,080.00
992,183.43
94.24
5.22%
942,383.00
5,937.50
0.42%
(49,800.43)
A2 / A
A+
1.53
1.47
57629WCG3 Mass Mutual Global funding Note
2.950% Due 01/11/2025
1,000,000.00 03/23/2022
2.79%
1,004,360.00
1,002,386.71
96.05
5.68%
960,506.00
13,930.56
0.43%
(41,880.71)
Aa3 / AA+
AA+
1.54
1.44
64952WEK5 New York Life Global Note
1.450% Due 01/14/2025
1,000,000.00 01/18/2022
1.56%
996,780.00
998,336.83
93.96
5.60%
939,619.00
6,726.39
0.42%
(58,717.83)
Aaa / AA+
AAA
1.55
1.48
As of June 30, 2023
28
DocuSign Envelope ID: 37D7A353-FD4C-4A37-80E5-4533193E2EFB
Holdings Report
City of Tustin Consolidated Account - Account #10795
CUSIP Security Description Par Value/Units Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
63743HFC1 National Rural Utilities Note
1.875% Due 02/07/2025
1,000,000.00 03/23/2022
2.87%
972,740.00
984,760.36
94.41
5.57%
944,102.00
7,500.00
0.42%
(40,658.36)
A2 / A-
A
1.61
1.53
57636QAN4 MasterCard Inc Callable Note 1x 02/03/2025
2.000% Due 03/03/2025
500,000.00 11/01/2021
1.06%
515,365.00
507,720.41
95.05
5.12%
475,240.00
3,277.78
0.21%
(32,480.41)
Aa3 / A+
NR
1.68
1.60
69371RR73 Paccar Financial Corp Note
2.850% Due 04/07/2025
1,000,000.00 03/31/2022
2.86%
999,740.00
999,846.75
95.71
5.42%
957,103.00
6,650.00
0.43%
(42,743.75)
A1 / A+
NR
1.77
1.68
87612EBL9 Target Corp Callable Note Cont 4/15/25
2.250% Due 04/15/2025
1,000,000.00 02/04/2022
1.91%
1,010,340.00
1,005,819.59
95.24
5.06%
952,351.00
4,750.00
0.42%
(53,468.59)
A2 / A
A
1.79
1.71
437076CM2 Home Depot Callable Note Cont 3/15/2025
2.700% Due 04/15/2025
1,000,000.00 03/28/2022
2.85%
995,620.00
997,423.99
95.91
5.12%
959,097.00
5,700.00
0.43%
(38,326.99)
A2 / A
A
1.79
1.71
61747YEQ4 Morgan Stanley Callable Note S/A 4/17/2024
3.620% Due 04/17/2025
1,000,000.00 06/01/2022
4.50%
1,000,910.00
1,000,569.08
98.01
6.20%
980,128.00
7,441.11
0.44%
(20,441.08)
A1 / A-
A+
1.80
0.76
06406RAN7 Bank of NY Mellon Corp Callable Note Cont 3/24/2025
1.600% Due 04/24/2025
1,000,000.00 02/04/2022
1.95%
989,120.00
993,839.93
93.70
5.28%
936,988.00
2,977.78
0.42%
(56,851.93)
A1 / A
AA-
1.82
1.75
06367WB85 Bank of Montreal Note
1.850% Due 05/01/2025
1,000,000.00 08/17/2021
0.90%
1,034,530.00
1,017,124.43
93.42
5.67%
934,159.00
3,083.33
0.41%
(82,965.43)
A2 / A-
AA-
1.84
1.76
91159HHZ6 US Bancorp Callable Note Cont 4/11/2025
1.450% Due 05/12/2025
1,400,000.00 12/23/2021
1.30%
1,406,818.00
1,403,771.78
93.25
5.29%
1,305,532.20
2,763.06
0.58%
(98,239.58)
A3 / A
A
1.87
1.80
747525AF0 Qualcomm Inc Callable Note Cont 2/20/2025
3.450% Due 05/20/2025
1,000,000.00 03/23/2022
2.82%
1,018,960.00
1,011,339.79
96.98
5.15%
969,760.00
3,929.17
0.43%
(41,579.79)
A2 / A
NR
1.89
1.79
717081EX7 Pfizer Inc. Callable Note Cont 4/28/2025
0.800% Due 05/28/2025
1,000,000.00 03/23/2022
2.62%
945,010.00
966,958.59
92.33
5.06%
923,253.00
733.33
0.41%
(43,705.59)
A1 / A+
A
1.91
1.85
66815L2J7 Northwestern Mutual Glbl Note
4.000% Due 07/01/2025
700,000.00 06/30/2022
3.81%
703,738.00
702,502.27
96.85
5.69%
677,950.00
14,000.00
0.31%
(24,552.27)
Aaa / AA+
AAA
2.01
1.85
26442UAA2 Duke Energy Progress LLC Callable Note Cont 5/15/25
3.250% Due 08/15/2025
1,000,000.00 04/25/2022
3.24%
1,000,280.00
1,000,180.17
95.92
5.30%
959,241.00
12,277.78
0.43%
(40,939.17)
Aa3 / A
NR
2.13
1.99
194162AM5 Colgate Palmolive Co. Note
3.100% Due 08/15/2025
345,000.00 08/01/2022
3.13%
344,682.60
344,776.50
96.27
4.97%
332,144.27
4,040.33
0.15%
(12,632.23)
Aa3 / AA-
NR
2.13
2.00
89114QCK2 Toronto Dominion Bank Note
0.750% Due 09/11/2025
1,000,000.00 08/17/2021
0.93%
993,000.00
996,212.26
90.53
5.37%
905,338.00
2,291.67
0.40%
(90,874.26)
A1 / A
AA-
2.20
2.12
14913R2H9 Caterpillar Financial Service Note
0.800% Due 11/13/2025
1,000,000.00 04/21/2021
0.98%
991,780.00
995,724.61
90.51
5.10%
905,115.00
1,066.67
0.40%
(90,609.61)
A2 / A
A+
2.38
2.29
857477BR3 State Street Bank Callable Note Cont 2/6/2025
1.746% Due 02/06/2026
1,000,000.00 Various
3.62%
978,258.70
985,377.67
93.69
5.93%
936,930.00
7,032.50
0.42%
(48,447.67)
A1 / A
AA-
2.61
1.53
As of June 30, 2023
29
DocuSign Envelope ID: 37D7A353-FD4C-4A37-80E5-4533193E2EFB
Holdings Report
City of Tustin Consolidated Account - Account #10795
CUSIP Security Description Par Value/Units Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
06051GHY8 Bank of America Corp Callable Note Cont 2/13/2025
2.015% Due 02/13/2026
1,000,000.00 04/20/2021
2.20%
1,030,470.00
1,016,604.24
93.65
6.20%
936,470.00
7,724.17
0.42%
(80,134.24)
A1 / A-
AA-
2.63
1.54
46647PBK1 JP Morgan Chase & Co Callable Note Cont 4/22/2025
2.083% Due 04/22/2026
2,000,000.00 Various
2.28%
2,072,110.00
2,042,945.44
93.65
5.83%
1,873,004.00
7,984.84
0.83%
(169,941.44)
A1 / A-
AA-
2.81
1.73
00440EAV9 Chubb INA Holdings Inc Callable Note Cont 2/3/2026
3.350% Due 05/03/2026
1,000,000.00 07/23/2021
1.13%
1,102,780.00
1,061,219.33
96.07
4.84%
960,747.00
5,397.22
0.43%
(100,472.33)
A3 / A
A
2.84
2.65
023135BX3 Amazon.com Inc Callable Note Cont 4/12/2026
1.000% Due 05/12/2026
1,000,000.00 05/12/2021
1.10%
995,200.00
997,247.37
89.90
4.81%
899,027.00
1,361.11
0.40%
(98,220.37)
A1 / AA
AA-
2.87
2.76
808513BR5 Charles Schwab Corp Callable Note Cont 4/13/2026
1.150% Due 05/13/2026
1,000,000.00 07/23/2021
0.98%
1,007,990.00
1,004,777.57
88.49
5.54%
884,948.00
1,533.33
0.39%
(119,829.57)
A2 / A-
A
2.87
2.75
91324PEC2 United Health Group Inc Callable Note Cont 4/15/2026
1.150% Due 05/15/2026
1,000,000.00 07/28/2021
1.00%
1,007,110.00
1,004,261.94
90.43
4.75%
904,305.00
1,469.44
0.40%
(99,956.94)
A3 / A+
A
2.88
2.76
78016EZT7 Royal Bank of Canada Note
1.150% Due 07/14/2026
1,000,000.00 07/28/2021
1.17%
999,090.00
999,442.44
88.47
5.31%
884,696.00
5,334.72
0.39%
(114,746.44)
A1 / A
AA-
3.04
2.90
931142ER0 Wal-Mart Stores Callable Note Cont 08/17/2026
1.050% Due 09/17/2026
900,000.00 09/22/2021
1.00%
902,277.00
901,469.60
89.28
4.68%
803,545.20
2,730.00
0.36%
(97,924.40)
Aa2 / AA
AA
3.22
3.08
665859AW4 Northern Trust Company Callable Note Cont 4/10/2027
4.000% Due 05/10/2027
1,000,000.00 01/30/2023
4.35%
986,540.00
987,835.06
96.34
5.05%
963,373.00
5,666.67
0.43%
(24,462.06)
A2 / A+
A+
3.86
3.50
74456QBU9 Public Service El & Gas Callable Note Cont 02/01/28
3.700% Due 05/01/2028
600,000.00 06/29/2023
4.87%
570,144.00
570,160.90
95.13
4.84%
570,774.00
3,700.00
0.25%
613.10
A1 / A
NR
4.84
4.33
341081GN1 Florida Power and Light Callable Note Cont 3/15/2028
4.400% Due 05/15/2028
1,000,000.00 06/07/2023
4.69%
987,550.00
987,702.00
98.12
4.84%
981,212.00
5,255.56
0.44%
(6,490.00)
Aa2 / A+
AA-
4.88
4.31
TOTAL Corporate 33,445,000.00 2.28%
33,498,403.30
33,449,221.18 5.38%
31,441,750.67
178,654.91
14.00%
(2,007,470.51)
A1 / A+
AA-
2.25
1.98
As of June 30, 2023
30
DocuSign Envelope ID: 37D7A353-FD4C-4A37-80E5-4533193E2EFB
Holdings Report
City of Tustin Consolidated Account - Account #10795
CUSIP Security Description Par Value/Units Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
LAIF
90LAIF$00 Local Agency Investment Fund State Pool
18,312,856.53 Various
3.26%
18,312,856.53
18,312,856.53
1.00
3.26%
18,312,856.53
179,102.78
8.19%
0.00
NR / NR
NR
0.00
0.00
TOTAL LAIF 18,312,856.53 3.26%
18,312,856.53
18,312,856.53 3.26%
18,312,856.53
179,102.78
8.19%
0.00
NR / NR
NR
0.00
0.00
Local Gov Investment Pool
90CAMP$00 California Asset Mgmt Program CAMP
108,021,594.69 Various
5.20%
108,021,594.69
108,021,594.69
1.00
5.20%
108,021,594.69
0.00
47.82%
0.00
NR / AAA
NR
0.00
0.00
TOTAL Local Gov Investment Pool 108,021,594.69 5.20%
108,021,594.69
108,021,594.69 5.20%
108,021,594.69
0.00
47.82%
0.00
NR / AAA
NR
0.00
0.00
Money Market Fund
31846V203 First American Govt Obligation Fund Class Y
236,211.78 Various
4.70%
236,211.78
236,211.78
1.00
4.70%
236,211.78
0.00
0.10%
0.00
Aaa / AAA
AAA
0.00
0.00
31846V203 First American Govt Obligation Fund Class Y
31,749.12 Various
4.70%
31,749.12
31,749.12
1.00
4.70%
31,749.12
0.00
0.01%
0.00
Aaa / AAA
AAA
0.00
0.00
TOTAL Money Market Fund 267,960.90 4.70%
267,960.90
267,960.90 4.70%
267,960.90
0.00
0.12%
0.00
Aaa / AAA
AAA
0.00
0.00
Negotiable CD
246399AB5 Delaware State Police FCU Negotiable CD
3.000% Due 03/29/2024
246,000.00 03/29/2019
3.00%
246,000.00
246,000.00
98.28
5.36%
241,770.77
1,900.60
0.11%
(4,229.23)
NR / NR
NR
0.75
0.72
14042TJB4 Capital One Bank USA NA Negotiable CD
3.450% Due 08/04/2025
240,000.00 08/01/2022
3.50%
239,640.00
239,748.95
96.14
5.42%
230,745.36
3,357.37
0.10%
(9,003.59)
NR / NR
NR
2.10
1.96
02007GXF5 Ally Bank Negotiable CD
3.400% Due 08/04/2025
240,000.00 08/02/2022
3.51%
239,280.00
239,497.45
96.05
5.41%
230,510.16
3,286.36
0.10%
(8,987.29)
NR / NR
NR
2.10
1.96
87165EXE2 Synchrony Bank Negotiable CD
3.400% Due 08/05/2025
240,000.00 08/01/2022
3.45%
239,640.00
239,748.39
96.04
5.41%
230,498.40
3,264.00
0.10%
(9,249.99)
NR / NR
NR
2.10
1.97
254673P26 Discover Bank Negotiable CD
3.400% Due 08/08/2025
240,000.00 08/01/2022
3.51%
239,280.00
239,494.82
96.03
5.41%
230,463.12
3,196.93
0.10%
(9,031.70)
NR / NR
NR
2.11
1.97
38149MYS6 Goldman Sachs Bank USA Negotiable CD
1.050% Due 08/25/2026
245,000.00 08/17/2021
1.15%
243,775.00
244,227.83
87.56
5.38%
214,531.56
888.04
0.10%
(29,696.27)
NR / NR
NR
3.16
3.02
TOTAL Negotiable CD 1,451,000.00 3.01%
1,447,615.00
1,448,717.44 5.40%
1,378,519.37
15,893.30
0.62%
(70,198.07)
NR / NR
NR
2.03
1.91
As of June 30, 2023
31
DocuSign Envelope ID: 37D7A353-FD4C-4A37-80E5-4533193E2EFB
Holdings Report
City of Tustin Consolidated Account - Account #10795
CUSIP Security Description Par Value/Units Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
US Treasury
912828S92 US Treasury Note
1.250% Due 07/31/2023
1,250,000.00 03/23/2022
1.87%
1,239,697.27
1,249,374.33
99.69
4.82%
1,246,166.25
6,517.61
0.55%
(3,208.08)
Aaa / AA+
AAA
0.08
0.09
9128282D1 US Treasury Note
1.375% Due 08/31/2023
1,300,000.00 05/18/2022
2.40%
1,283,191.41
1,297,813.81
99.38
5.09%
1,291,882.80
5,974.52
0.57%
(5,931.01)
Aaa / AA+
AAA
0.17
0.17
912796CQ0 US Treasury Bill
4.649% Due 09/14/2023
4,000,000.00 03/29/2023
4.82%
3,913,218.67
3,961,258.33
99.03
4.82%
3,961,258.33
0.00
1.75%
0.00
P-1 / A-1+
F-1+
0.21
0.20
912828T91 US Treasury Note
1.625% Due 10/31/2023
1,200,000.00 04/25/2022
2.34%
1,187,296.88
1,197,197.50
98.82
5.20%
1,185,843.60
3,285.33
0.53%
(11,353.90)
Aaa / AA+
AAA
0.34
0.33
912828U57 US Treasury Note
2.125% Due 11/30/2023
1,250,000.00 03/23/2022
2.06%
1,251,416.02
1,250,349.41
98.69
5.33%
1,233,593.75
2,249.83
0.55%
(16,755.66)
Aaa / AA+
AAA
0.42
0.41
912828V80 US Treasury Note
2.250% Due 01/31/2024
1,250,000.00 03/23/2022
2.12%
1,252,832.03
1,250,893.89
98.16
5.47%
1,227,051.25
11,731.70
0.55%
(23,842.64)
Aaa / AA+
AAA
0.59
0.56
91282CBR1 US Treasury Note
0.250% Due 03/15/2024
2,600,000.00 04/03/2023
4.66%
2,495,187.50
2,521,845.01
96.47
5.39%
2,508,188.80
1,907.61
1.11%
(13,656.21)
Aaa / AA+
AAA
0.71
0.69
91282CBV2 US Treasury Note
0.375% Due 04/15/2024
2,500,000.00 06/27/2023
5.40%
2,403,125.00
2,404,120.29
96.14
5.42%
2,403,417.50
1,972.34
1.06%
(702.79)
Aaa / AA+
AAA
0.79
0.77
912828X70 US Treasury Note
2.000% Due 04/30/2024
1,250,000.00 03/23/2022
2.19%
1,245,019.53
1,248,028.56
97.22
5.45%
1,215,283.75
4,211.96
0.54%
(32,744.81)
Aaa / AA+
AAA
0.84
0.81
912828WJ5 US Treasury Note
2.500% Due 05/15/2024
1,000,000.00 04/25/2022
2.57%
998,593.75
999,401.88
97.49
5.47%
974,922.00
3,192.93
0.43%
(24,479.88)
Aaa / AA+
AAA
0.88
0.85
912828XT2 US Treasury Note
2.000% Due 05/31/2024
2,500,000.00 06/27/2023
5.38%
2,424,804.69
2,425,472.10
96.94
5.46%
2,423,437.50
4,234.97
1.07%
(2,034.60)
Aaa / AA+
AAA
0.92
0.89
91282CCL3 US Treasury Note
0.375% Due 07/15/2024
1,250,000.00 03/23/2022
2.24%
1,197,802.73
1,226,498.86
94.97
5.40%
1,187,158.75
2,162.47
0.53%
(39,340.11)
Aaa / AA+
AAA
1.04
1.01
9128282U3 US Treasury Note
1.875% Due 08/31/2024
1,250,000.00 03/23/2022
2.28%
1,238,085.94
1,244,290.34
96.08
5.38%
1,200,976.25
7,833.73
0.54%
(43,314.09)
Aaa / AA+
AAA
1.17
1.12
912828YM6 US Treasury Note
1.500% Due 10/31/2024
1,250,000.00 03/23/2022
2.30%
1,224,902.34
1,237,134.81
95.15
5.31%
1,189,355.00
3,158.97
0.53%
(47,779.81)
Aaa / AA+
AAA
1.34
1.29
912828YV6 US Treasury Note
1.500% Due 11/30/2024
1,250,000.00 03/23/2022
2.32%
1,223,486.33
1,236,014.17
94.95
5.24%
1,186,816.25
1,588.11
0.53%
(49,197.92)
Aaa / AA+
AAA
1.42
1.37
912828YY0 US Treasury Note
1.750% Due 12/31/2024
1,300,000.00 05/18/2022
2.88%
1,263,335.94
1,278,967.01
95.07
5.21%
1,235,913.90
61.82
0.55%
(43,053.11)
Aaa / AA+
AAA
1.51
1.45
91282CBH3 US Treasury Note
0.375% Due 01/31/2026
2,000,000.00 04/27/2021
0.83%
1,957,500.00
1,976,904.83
89.78
4.61%
1,795,626.00
3,128.45
0.80%
(181,278.83)
Aaa / AA+
AAA
2.59
2.51
As of June 30, 2023
32
DocuSign Envelope ID: 37D7A353-FD4C-4A37-80E5-4533193E2EFB
Holdings Report
City of Tustin Consolidated Account - Account #10795
CUSIP Security Description Par Value/Units Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
91282CBT7 US Treasury Note
0.750% Due 03/31/2026
2,000,000.00 04/27/2021
0.86%
1,989,531.25
1,994,154.27
90.38
4.51%
1,807,656.00
3,770.49
0.80%
(186,498.27)
Aaa / AA+
AAA
2.75
2.66
91282CFM8 US Treasury Note
4.125% Due 09/30/2027
1,740,000.00 11/09/2022
4.32%
1,724,978.91
1,726,939.65
99.44
4.27%
1,730,280.36
18,041.80
0.77%
3,340.71
Aaa / AA+
AAA
4.25
3.82
91282CGH8 US Treasury Note
3.500% Due 01/31/2028
1,500,000.00 02/23/2023
4.13%
1,458,281.25
1,461,135.20
97.11
4.20%
1,456,582.50
21,899.17
0.65%
(4,552.70)
Aaa / AA+
AAA
4.59
4.12
TOTAL US Treasury 33,640,000.00 3.24%
32,972,287.44
33,187,794.25 5.07%
32,461,410.54
106,923.81
14.42%
(726,383.71)
Aaa / AA+
AAA
1.30
1.23
TOTAL PORTFOLIO 229,313,915.41 3.99%
228,091,928.22
228,474,775.36 4.83%
225,344,617.51
525,432.31
100.00%
(3,130,157.85)
Aa2 / AAA
AA+
0.61
0.55
TOTAL MARKET VALUE PLUS ACCRUALS 225,870,049.82
As of June 30, 2023
33
DocuSign Envelope ID: 37D7A353-FD4C-4A37-80E5-4533193E2EFB
SECTION |Section 4 |Transactions
34
DocuSign Envelope ID: 37D7A353-FD4C-4A37-80E5-4533193E2EFB
Transaction Ledger
City of Tustin Consolidated Account - Account #10795
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/Disp
Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase 04/04/2023 91282CBR1 2,600,000.00 US Treasury Note
0.25% Due: 03/15/2024
95.969 4.66%2,495,187.50 353.26 2,495,540.76 0.00
Purchase 04/05/2023 89233HX58 1,000,000.00 Toyota Motor Credit Discount CP
5.12% Due: 10/05/2023
97.397 5.33%973,973.33 0.00 973,973.33 0.00
Purchase 04/15/2023 90LAIF$00 384,127.19 Local Agency Investment Fund State Pool 1.000 2.88%384,127.19 0.00 384,127.19 0.00
Purchase 04/30/2023 90CAMP$00 337,233.08 California Asset Mgmt Program CAMP 1.000 5.00%337,233.08 0.00 337,233.08 0.00
Purchase 05/31/2023 90CAMP$00 418,055.37 California Asset Mgmt Program CAMP 1.000 5.20%418,055.37 0.00 418,055.37 0.00
Purchase 06/09/2023 341081GN1 1,000,000.00 Florida Power and Light Callable Note Cont
3/15/2028
4.4% Due: 05/15/2028
98.755 4.69%987,550.00 2,566.67 990,116.67 0.00
Purchase 06/13/2023 3137F1G44 750,000.00 FHLMC K065 A2
3.243% Due: 04/25/2027
95.941 4.42%719,560.55 810.75 720,371.30 0.00
Purchase 06/28/2023 912828XT2 2,500,000.00 US Treasury Note
2% Due: 05/31/2024
96.992 5.38%2,424,804.69 3,825.14 2,428,629.83 0.00
Purchase 06/28/2023 91282CBV2 2,500,000.00 US Treasury Note
0.375% Due: 04/15/2024
96.125 5.40%2,403,125.00 1,895.49 2,405,020.49 0.00
Purchase 06/30/2023 74456QBU9 600,000.00 Public Service El & Gas Callable Note Cont
02/01/28
3.7% Due: 05/01/2028
95.024 4.87%570,144.00 3,638.33 573,782.33 0.00
Subtotal 12,089,415.64 11,713,760.71 13,089.64 11,726,850.35 0.00
Security
Contribution
04/30/2023 90CAMP$00 20,000,000.00 California Asset Mgmt Program CAMP 1.000 20,000,000.00 0.00 20,000,000.00 0.00
Security
Contribution
05/18/2023 90CAMP$00 5,000,000.00 California Asset Mgmt Program CAMP 1.000 5,000,000.00 0.00 5,000,000.00 0.00
March 31, 2023 through June 30, 2023
As of June 30, 2023
35
DocuSign Envelope ID: 37D7A353-FD4C-4A37-80E5-4533193E2EFB
Transaction Ledger
City of Tustin Consolidated Account - Account #10795
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/Disp
Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
Security
Contribution
05/30/2023 90CAMP$00 15,000,000.00 California Asset Mgmt Program CAMP 1.000 15,000,000.00 0.00 15,000,000.00 0.00
Subtotal 40,000,000.00 40,000,000.00 0.00 40,000,000.00 0.00
TOTAL ACQUISITIONS 52,089,415.64 51,713,760.71 13,089.64 51,726,850.35 0.00
DISPOSITIONS
Maturity 04/18/2023 795450M93 245,000.00 Sallie Mae Bank Negotiable CD
3% Due: 04/18/2023
100.000 245,000.00 0.00 245,000.00 0.00
Maturity 05/31/2023 912828R69 1,250,000.00 US Treasury Note
1.625% Due: 05/31/2023
100.000 1,250,000.00 0.00 1,250,000.00 0.00
Maturity 06/13/2023 90348JCW8 248,000.00 UBS Bank USA Negotiable CD
3.25% Due: 06/13/2023
100.000 248,000.00 0.00 248,000.00 0.00
Subtotal 1,743,000.00 1,743,000.00 0.00 1,743,000.00 0.00
Security
Withdrawal
04/07/2023 90LAIF$00 10,000,000.00 Local Agency Investment Fund State Pool 1.000 10,000,000.00 0.00 10,000,000.00 0.00
Security
Withdrawal
04/25/2023 90LAIF$00 1,287,000.00 Local Agency Investment Fund State Pool 1.000 1,287,000.00 0.00 1,287,000.00 0.00
Security
Withdrawal
05/05/2023 90LAIF$00 2,000,000.00 Local Agency Investment Fund State Pool 1.000 2,000,000.00 0.00 2,000,000.00 0.00
Security
Withdrawal
06/30/2023 90CAMP$00 4,518,591.74 California Asset Mgmt Program CAMP 1.000 4,518,591.74 0.00 4,518,591.74 0.00
March 31, 2023 through June 30, 2023
As of June 30, 2023
36
DocuSign Envelope ID: 37D7A353-FD4C-4A37-80E5-4533193E2EFB
Transaction Ledger
City of Tustin Consolidated Account - Account #10795
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price Acq/Disp
Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
Security
Withdrawal
06/30/2023 90LAIF$00 4,000,000.00 Local Agency Investment Fund State Pool 1.000 4,000,000.00 0.00 4,000,000.00 0.00
Subtotal 21,805,591.74 21,805,591.74 0.00 21,805,591.74 0.00
TOTAL DISPOSITIONS 23,548,591.74 23,548,591.74 0.00 23,548,591.74 0.00
March 31, 2023 through June 30, 2023
As of June 30, 2023
37
DocuSign Envelope ID: 37D7A353-FD4C-4A37-80E5-4533193E2EFB
Important Disclosures
2023 Chandler Asset Management, Inc, An Independent Registered Investment Adviser.
Information contained herein is confidential. Prices are provided by ICE Data Services Inc (“IDS”), an independent pricing source. In the event IDS does not provide a price or if the price provided is not
reflective of fair market value, Chandler will obtain pricing from an alternative approved third party pricing source in accordance with our written valuation policy and procedures.Our valuation
procedures are also disclosed in Item 5 of our Form ADV Part 2A.
Performance results are presented gross-of-advisory fees and represent the client’s Total Return. The deduction of advisory fees lowers performance results. These results include the reinvestment of
dividends and other earnings. Past performance may not be indicative of future results. Therefore, clients should not assume that future performance of any specific investment or investment strategy
will be profitable or equal to past performance levels. All investment strategies have the potential for profit or loss. Economic factors, market conditions or changes in investment strategies,
contributions or withdrawals may materially alter the performance and results of your portfolio.
Index returns assume reinvestment of all distributions. Historical performance results for investment indexes generally do not reflect the deduction of transaction and/or custodial charges or the
deduction of an investment management fee, the incurrence of which would have the effect of decreasing historical performance results. It is not possible to invest directly in an index.
Source ICE Data Indices, LLC ("ICE"), used with permission. ICE permits use of the ICE indices and related data on an "as is" basis; ICE, its affiliates and their respective third party suppliers disclaim any and
all warranties and representations, express and/or implied, including any warranties of merchantability or fitness for a particular purpose or use, including the indices, index data and any data included
in, related to, or derived therefrom. Neither ICE data, its affiliates or their respective third party providers guarantee the quality, adequacy, accuracy, timeliness or completeness of the indices or the
index data or any component thereof, and the indices and index data and all components thereof are provided on an "as is" basis and licensee's use it at licensee's own risk. ICE data, its affiliates and their
respective third party do not sponsor, endorse, or recommend chandler asset management, or any of its products or services.
This report is provided for informational purposes only and should not be construed as a specific investment or legal advice. The information contained herein was obtained from sources believed to be
reliable as of the date of publication, but may become outdated or superseded at any time without notice. Any opinions or views expressed are based on current market conditions and are subject to
change. This report may contain forecasts and forward-looking statements which are inherently limited and should not be relied upon as indicator of future results. Past performance is not indicative of
future results. This report is not intended to constitute an offer, solicitation, recommendation or advice regarding any securities or investment strategy and should not be regarded by recipients as a
substitute for the exercise of their own judgment.
Fixed income investments are subject to interest, credit and market risk. Interest rate risk: the value of fixed income investments will decline as interest rates rise. Credit risk: the possibility that the
borrower may not be able to repay interest and principal. Low rated bonds generally have to pay higher interest rates to attract investors willing to take on greater risk. Market risk: the bond market in
general could decline due to economic conditions, especially during periods of rising interest rates.
Ratings information have been provided by Moody’s, S&P and Fitch through data feeds we believe to be reliable as of the date of this statement, however we cannot guarantee its accuracy.
Security level ratings for U.S. Agency issued mortgage-backed securities (“MBS”) reflect the issuer rating because the securities themselves are not rated. The issuing U.S. Agency guarantees the full and
timely payment of both principal and interest and carries a AA+/Aaa/AAA by S&P, Moody’s and Fitch respectively.
Your qualified custodian bank maintains control of all assets reflected in this statement and we urge you to compare this statement to the one you receive from your qualified custodian. Chandler does
not have any authority to withdraw or deposit funds from/to the custodian account.
As of June 30, 2023
38
DocuSign Envelope ID: 37D7A353-FD4C-4A37-80E5-4533193E2EFB
Benchmark Disclosures
ICE BofA 1-5 Yr US Treasury & Agency Index
The ICE BofA 1-5 Year US Treasury & Agency Index tracks the performance of US dollar denominated US Treasury and nonsubordinated US agency debt issued in the US domestic market. Qualifying
securities must have an investment grade rating (based on an average of Moody’s, S&P and Fitch). Qualifying securities must have at least one year remaining term to final maturity and less than five
years remaining term to final maturity, at least 18 months to maturity at time of issuance, a fixed coupon schedule, and a minimum amount outstanding of $1 billion for sovereigns and $250 million for
agencies.
ICE BofA 1-3 Yr US Treasury & Agency Index
The ICE BofA 1-3 Year US Treasury & Agency Index tracks the performance of US dollar denominated US Treasury and nonsubordinated US agency debt issued in the US domestic market. Qualifying
securities must have an investment grade rating (based on an average of Moody’s, S&P and Fitch). Qualifying securities must have at least one year remaining term to final maturity and less than three
years remaining term to final maturity, at least 18 months to maturity at time of issuance, a fixed coupon schedule, and a minimum amount outstanding of $1 billion for sovereigns and $250 million for
agencies.
As of June 30, 2023
39
DocuSign Envelope ID: 37D7A353-FD4C-4A37-80E5-4533193E2EFB
CITY OF TUSTINMonthly Investment ReportJune 30, 2023[1][2] [3] [4] [5]Description / Limits Face Amount Shares YTM@Cost Credit Rating Cost Value + Accrued InterestMarket Value2016 Successor Agency Tax Allocation Bonds, Refunding 1,208.02 N/A 1,208.02 1,208.022016 Water Revenue Bonds, Refunding 1,615.77 N/A 1,615.77 1,615.772020 Water Revenue Bonds 1,968.42 N/A 1,968.42 1,968.42CFD 04-1 1,160,654.84 N/A 1,160,654.84 1,160,654.84CFD 06-1 6,536,539.28 N/A 6,536,539.28 6,536,539.28CFD 07-1 1,938,962.09 N/A 1,938,962.09 1,938,962.09CFD 14-1 3,571,623.37 N/A 3,571,623.37 3,571,623.3713,212,571.79 13,212,571.79 13,212,571.79Restricted Deposits with Fiscal Agents TOTAL 13,212,571.79 13,212,571.79 Restricted Deposits with Fiscal AgentsDocuSign Envelope ID: 37D7A353-FD4C-4A37-80E5-4533193E2EFB
CITY OF TUSTIN
PARS Post-Employment Benefits Trust 6/1/2023 to 6/30/2023
Matthew West
City Manager
City of Tustin
300 Centennial Way
Tustin, CA 92780
Account Summary
Source 6/1/2023 Contributions Earnings Expenses Distributions Transfers 6/30/2023
OPEB 1001 $3,338,830.49 $0.00 $96,639.19 $1,351.78 $0.00 $0.00 $3,434,117.90
PENSION 1002 $10,648,064.78 $0.00 $308,232.35 $4,310.77 $0.00 $0.00 $10,951,986.36
Totals $13,986,895.27 $0.00 $404,871.54 $5,662.55 $0.00 $0.00 $14,386,104.26
Investment Selection
Source
OPEB
PENSION
Investment Objective
Source
OPEB
PENSION
Investment Return
Source 1-Month 3-Months 1-Year 3-Years 5-Years 10-Years
OPEB 2.89%2.68%6.99%4.45%4.92%-6/26/2018
PENSION 2.89%2.68%7.02%4.46%4.95%-6/26/2018
Information as provided by US Bank, Trustee for PARS; Not FDIC Insured; No Bank Guarantee; May Lose Value
Headquarters - 4350 Von Karman Ave., Suite 100, Newport Beach, CA 92660 800.540.6369 Fax 949.250.1250 www.pars.org
Account balances are inclusive of Trust Administration, Trustee and Investment Management fees
Annualized Return
Investment Return: Annualized rate of return is the return on an investment over a period other than one year multiplied or divided to give a comparable one-year return.
Past performance does not guarantee future results. Performance returns may not reflect the deduction of applicable fees, which could reduce returns. Information is deemed reliable but may be subject to change.
Individual account based on Moderate Index PLUS. The dual goals of the Moderate Strategy are growth of principal and income. It is expected that
dividend and interest income will comprise a significant portion of total return, although growth through capital appreciation is equally important. The
portfolio will be allocated between equity and fixed income investments.
Account Report for the Period
Balance as of
City of Tustin - OPEB
Balance as of
Individual account based on Moderate Index PLUS. The dual goals of the Moderate Strategy are growth of principal and income. It is expected that
dividend and interest income will comprise a significant portion of total return, although growth through capital appreciation is equally important. The
portfolio will be allocated between equity and fixed income investments.
City of Tustin - Pension
Plan's Inception Date
DocuSign Envelope ID: 37D7A353-FD4C-4A37-80E5-4533193E2EFB